Much depends on what shipping modules you have "active".
All shipping modules can be configured to limit delivery to certain countries. One way is to "remove" certain countries from your database (see admin Locations/Taxes--- Countries). But remember... it may be that someone in Zambia may want to buy something, and have it posted to their Auntie in Birmingham UK - so while you are better off allowing checkout from many countries, you will need to limit options for delivery zones.
I don't really want orders from places like Chad, Eritreia, Belarus or North Korea, so I delete these countries entirely.
I have SEVERAL modules in my shipping area - and depending on where a customer wants stuff shipped to, available options will only display if the customer's billing address, and desired shippping address, meet the way I have configured the modules.
There are LOTS of tutorials and postings on setting up shipping, and the zencart user manual has good advice and help too.